Derivative Report
Oct 01, 2014
Comments
Nifty Vs OI
The Nifty futures open interest increased by 1.52% while
BankNifty futures open interest has decreased by 3.56%
as market closed at 7964.80 levels.
The Nifty October future closed at premium of 35.00
point against a premium of 34.35 points. The November
series closed at a premium of 81.60 points.
The Implied Volatility of at the money options has
increased from 12.13% to 12.36%.
Nifty PCR-OI has increased from 0.86 to 0.90 levels.
The total OI of the market is Rs. 1,74,978/- cr. and the
stock futures OI is Rs. 51,789/- cr.
Few of the liquid counter stocks where we have seen high
cost of carry are HDFCBANK, MCLEODRUSS,
GMRINFRA, ACC and SRTRANSFIN.
View
OI Gainers
Yesterday NIFTY jumped above 8000 levels but in
OI
PRICE
second the half it corrected from those highs and
SCRIP
OI
CHANGE
PRICE
CHANGE
closed nearly flat. FIIs were net seller in cash market
(%)
(%)
segment of worth Rs. 485 crores. In Index Futures
they were net buyers with good amount of rise in
MRF
46125
44.71
32681.95
5.17
open interest indicating blend of both long & short
HEROMOTOCO
1385625
14.38
2839.55
-0.83
positions in last trading session.
SRTRANSFIN
687000
10.81
932.30
-4.30
In Index Options they bought significantly, they were
SAIL
36240000
8.49
69.60
-1.58
net buyer of worth Rs. 1539 crores with good amount
of rise in open interest indicating formation of long
BANKINDIA
9791000
8.22
232.00
-3.51
positions in last trading session. PCR-OI has
increased due to open interest addition in put options
OI Losers
while implied volatility still remains more or less in
line. In put options 7700 & 7900 strike price added
OI
PRICE
reasonable amount of open interest, some buildup
SCRIP
OI
CHANGE
PRICE
CHANGE
(%)
(%)
was also witnessed in 7500 & 8000 put options. We
believe these additions of contracts in put options are
TATACHEM
3149000
-8.33
399.40
1.92
long positions formed by FIIs. On the other hand in
BATAINDIA
625750
-7.23
1324.55
1.04
call options 8300 strike price added some buildup.
Maximum buildup in current series in call options still
INDUSINDBK
5517500
-6.64
621.55
-0.63
remains at 8200 strike price and that of put options
HDFC
6563250
-6.16
1055.25
2.22
has shifted to 7800 strike price.
SUNTV
1901000
-6.03
338.15
1.57
Put-Call Ratio
Historical Volatility
SCRIP
PCR-OI
PCR-VOL
SCRIP
HV
NIFTY
0.90
0.96
COLPAL
34.96
BANKNIFTY
0.89
0.72
POWERGRID
25.39
RELIANCE
0.41
0.28
MRF
47.64
SBIN
0.50
0.59
EICHERMOT
54.94
INFY
0.38
0.29
SRTRANSFIN
45.24
1
Derivative Report
Oct 01, 2014
Strategy Date
Symbol
Strategy
Status
29-09-2014
NIFTY
Long Put
Did not trigger.
Research Team Tel: 022 - 39357800
DISCLAIMER
This document is solely for the personal information of the recipient, and must not be singularly used as the basis of any investment
decision. Nothing in this document should be construed as investment or financial advice. Each recipient of this document should
make such investigations as they deem necessary to arrive at an independent evaluation of an investment in the securities of the
companies referred to in this document (including the merits and risks involved), and should consult their own advisors to determine
the merits and risks of such an investment.
Angel Broking Pvt. Limited, its affiliates, directors, its proprietary trading and investment businesses may, from time to time, make
investment decisions that are inconsistent with or contradictory to the recommendations expressed herein. The views contained in
this document are those of the analyst, and the company may or may not subscribe to all the views expressed within.
Reports based on technical and derivative analysis center on studying charts of a stock's price movement, outstanding positions and
trading volume, as opposed to focusing on a company's fundamentals and, as such, may not match with a report on a company's
fundamentals.
The information in this document has been printed on the basis of publicly available information, internal data and other reliable
sources believed to be true, but we do not represent that it is accurate or complete and it should not be relied on as such, as this
document is for general guidance only. Angel Broking Pvt. Limited or any of its affiliates/ group companies shall not be in any way
responsible for any loss or damage that may arise to any person from any inadvertent error in the information contained in this
report. Angel Broking Pvt. Limited has not independently verified all the information contained within this document. Accordingly, we
cannot testify, nor make any representation or warranty, express or implied, to the accuracy, contents or data contained within this
document. While Angel Broking Pvt. Limited endeavours to update on a reasonable basis the information discussed in this material,
there may be regulatory, compliance, or other reasons that prevent us from doing so.
This document is being supplied to you solely for your information, and its contents, information or data may not be reproduced,
redistributed or passed on, directly or indirectly.
Angel Broking Pvt. Limited and its affiliates may seek to provide or have engaged in providing corporate finance, investment
banking or other advisory services in a merger or specific transaction to the companies referred to in this report, as on the date of
this report or in the past.
Neither Angel Broking Pvt. Limited, nor its directors, employees or affiliates shall be liable for any loss or damage that may arise
from or in connection with the use of this information.
Note: Please refer to the important `Stock Holding Disclosure' report on the Angel website (Research Section). Also, please refer to
the latest update on respective stocks for the disclosure status in respect of those stocks. Angel Broking Pvt. Limited and its affiliates
may have investment positions in the stocks recommended in this report.
Derivative Research Team
For Private Circulation Only
SEBI Registration No: INB 010996539
3